The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Izzeldin, Marwan; Muradoğlu, Yaz Gűlnur; Pappas, Vasileios; Sivaprasad, Sheeja

doi:10.1016/j.irfa.2021.101671

Cited by 90 publications

(62 citation statements)

References 82 publications

(123 reference statements)

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“…Finally, the drop of financial markets during the last year followed by a turbulent period can be explained by the effects of the Covid-19 pandemic. Several studies conclude that during the current pandemic, the indices of developed and emerging markets have plummeted, followed by a spike in volatility ( Izzeldin et al, 2021 ; Uddin et al, 2021 ; Liu et al, 2021 ; Hasan et al, 2021 ). Hasan et al (2021) evaluate the effect of COVID-19 outbreak on both conventional and Islamic equity market indices.…”

Section: Resultsmentioning

confidence: 99%

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

2021

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This paper applies the DCC-FIGARCH model to investigate the role of Bitcoin as a hedge and safe haven for Islamic stock markets in comparison with gold. We use daily data for the period January 2010–May 2020, which covers the recent COVID-19 pandemic. Empirical results show that the dynamic correlation between Bitcoin and Islamic stock markets is low and usually negative during major economic and political events suggesting that Bitcoin qualifies as a safe haven against Islamic stock markets downturns. Extending our analysis to portfolio management, findings reveal that the diversification benefits of Bitcoin are most times stable and increase significantly during turbulent periods. Thereby, adding Bitcoin in a portfolio of Islamic stocks reduce the risk of portfolio. Finally, as regards the COVID-19 outbreak period, we find that the hedging strategy involving Bitcoin leads to a higher cost during the crisis. These results provide substantial recommendations for Islamic investors and portfolio managers.

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Section: Resultsmentioning

confidence: 99%

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

2021

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“…BHAR in the event window(15)(16)(17)(18)(19)(20)(21)(22)(23)(24)(25)(26)(27)(28)(29) for G-7 and BRICS…”

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confidence: 99%

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

Ledwani

Chakraborty

Shenoy

2021

Investment Management and Financial Innovations

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The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.

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“…According to Izzeldin et al (2021) a series of tests confirmed that the response of the financial markets to COVID-19 has been comparable to that observed during the previous financial crisis rather than to the previous pandemics (Izzeldin, Muradoğlu, Pappas, and Sivaprasad, 2021).…”

Section: The Pandemic and Investor Behaviour On The Marketsmentioning

confidence: 81%

The Effect of COVID-19 Pandemic on the Stock Market of Agri-food Companies in Poland

Kacperska¹,

Kraciuk²

2021

ERSJ

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Purpose:The aim of this study was to compare the effect of shock related to the COVID pandemic on the rates of return from shares of agri-food companies in Poland. Project/Methodology/Approach: In order to investigate the effect of the COVID pandemic on the capital market abnormal rates of return from shares were calculated as those rates of return, which may be considered the response of the market to the outbreak of the pandemic and its consequences. Results: Results of this analysis indicate a considerable drop in share prices and rates of return from shares of the WIG companies and agri-food companies following the detection of the first coronavirus case. In the analysed period the rates of return from shares of agri-food companies were higher than those from the WIG companies. Practical implications: This study indicates a research gap in this respect. The investigations have a huge effect on decisions of investors, enterprises from the agri-food sector and agribusiness. Results of this study will provide insight into the situation in the stock market during the pandemic, while they will also aid entities when making investment decisions and planning for the future. Originality/value: The novelty of this paper is connected with the contribution to science, since it is the first empirical study concerning the effect of the COVID-19 pandemic on the stock market in the agri-food sector of Poland.

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The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Cited by 90 publications

References 82 publications

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

The Effect of COVID-19 Pandemic on the Stock Market of Agri-food Companies in Poland

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